69,901.41 2016 / / A 56,100.00 80.26% 2019 2 28 AAA AAA B 8,450.00 12.09% 2019 2 28 AA AA 5,351.41 7.65% 2019 2 28 69,901.41 2019 2 28 A B 7.65% 2016 1 20 2016 2 26 2
A B 2016 1 8 3
4 2015 [2015] 320
... 7... 11... 15... 18... 21... 23... 33... 40... 44... 54... 55... 59... 63... 65... 71... 76... 79... 85... 87... 89... 93... 101... 107 5
... 115... 118... 121 6
/ 200 14 1409-1410 021-63291435 021-63291789 200002 http://www.boccfc.cn / 6 010-88306598 0851-6826079 550081 24 5 6 7 http://www.hngtrust.com/ 23 021-50375820 7
021-50375825 200120 www.boc.cn 10 010-88170738 010-66061875 100033 www.chinabond.com.cn 2 17 010-85679696 010-85679228 100022 http://www.lhratings.com 28 2 6 8
010-88090134 010-88090102 100032 www.chinaratings.com.cn / 61 021-63391166 021-63391429 200002 www.bdo.com.cn 5 12 010-65028888 010-65028866 100020 http://www.hylandslaw.com 200 39 9
010-66229062 010-66229273 021-20328642 010-66578961 200120 021-50372476 010-66229276 www.bocichina.com 10
11 1 2 3
12 4 / / / :
/ 2016 002-2 2016 2016 002-3 2016 2016 002-4 2016 2016 002-5 2016 2016 13
6 26 2016 2 26 14
1 2 3 2010 6 10 4 5 2015 7 5 8.89 5 200 14 1409-1410 6 74 3 7 2010 6 5 2015 7 50,000 88,900 15
1 2 IST 16
2012-2014 2015 1 2012 12 31 2013 12 31 2014 12 31 2015 6 30 1,999,470,163.68 3,590,439,013.87 6,356,720,050.87 9,643,004,024.19 1,878,321,012.83 3,434,657,758,04 6,154,493,963.01 9,417,343,828.52 1,480,298,839.08 3,015,063,483.94 5,698,405,555.51 8,850,089,710.83 0 0 0 73,000,000.00 519,171,324.60 575,375,529.93 658,314,495.36 792,914,313.36 2012 2013 2014 2015 1-6 101,718,034.20 205,441,902,57 344,703,324.92 381,350,439.88 18,531,016.75 65,889,318.48 113,606,673.75 170,906,155.70 16,195,256,69 56,204,205.33 90,638,965.43 134,599,818.00 2 2015 6 30 2014 12 31 2013 12 31 2012 12 31 (%) 14.04 12.76 18.91 32.50 % 0 0 0 0 (%) 143.01 144.75 144 283.31 (%) 0 0 0 0 17
2014, 30 62.70 2008 11 2009 1 2009 2 2014 3,298.77 2,086.41 4,173.39 41% 17.12 53.47% 40% 4,841.44 43.92 8.26 2014 62.70 18
11 2015 6 200 Pvar 19
2013 2015 9 2012-2015 6 2015 6 30 2014 2013 2012 985,270.66 733,832.90 602,561.10 372,807.46 47,414,731.16 42,155,687.51 30,103,316.26 17,523,835.24 282,709.19 106,859.59 63,827.73 47,751.36 702,561.47 626,973.31 538,733.37 325,056.10 132,002.25 226,964.57 145,120.03 116,439.13 91,751.89 120,305.09 115,735.65 88,422.67 75,588.16 128,239.93 83,577.27 60,218.73 28.69% 14.56% 10.59% 12.81% 57.26% 56.50% 57.59% 51.72% 2012-2014 2015 20
/ 2015 9 1 2015 2015 2015 2015 2014 2014 2015 2015 2012 2014 21
2014 2015 37.14% 22
23
56,100 A 8,450 B 7.65% 24
/ / 1 1 2 3 2 1 2 3 4 5 25
6 7 8 9 1 1 2 3 4 5 26
6 7 8 9 10 2 1 2 3 4 27
5 6 7 8 9 10 11 4 5 28
12 13 / 14 15 16 17 18 19 1 1 29
2 2 1 2 3 4 1 1 2 3 4 2 1 2 3 4 30
5 6 7 8 9 20 10 11 12 1 1 2 31
3 2 1 2 3 6.4 32
A A B B 1 2 9 3 h k d f 4 5 33
6 7 8 9 10 11 12 13 14 15 16 10% 34
5 10 30 www.chinamoney.com.cnwww.chinabon 100 5 35
3 36
37 19.2.1 (1) (2) 19.2.1 (3) (13) 75% 75% 50% 50% A A
A B B 19.9.1 75% 75% 38
10 39
1 ( 2 (1)(2) (3) (4) (5) (6) (8) (9) 3 1 40
2 3 1 T+n 2 3 OA 41
4 ( 1 M0 2 M1 30 3 M2 31-60 4 M3 61-90 5 M4 91-120 6 M5 121-150 7 M6 151-180 M7 42
M0 1 M1 M2 M3 43
1 1 18 2 3 4 65 5 2 1 2 44
3 4 5 5 6 7 30 7 2017 3 31 8 2015 4 30 9 1,000 50,000 10 11 12 13 14, 45
15 16 17 18 19 3 1 69,901 14.43% 15.5 40,531 40,531 1.7 1 46
金额 ( ) 69,901 ( ) 118,172 40,531 40,531 ( ) 5 ( ) 1.7 ( ) 1.7 ( ) 1 23.3 ( ) 2 15.5 ( ) 3 8.3 ( ) 22 ( ) 6 4 4 4 14.43% 17.90% 11.97% 0 0.036% 100% 5 29.08 30-40 24.79% 6 7 76,888.32 427.49% 95.07% 1 = p t / p 2 = p r / p n i= 1 n i= 1 i i i i n i= 1 n i= 1 i i p i p i t i r i 47
3 = p s / p i= 1 4 5 = p t / p 6 = p t / p n i n i= 1 i i n i= 1 n i= 1 n i i i n i= 1 i i n i= 1 p i i 7 = p t / p i= 1 i i n i= 1 i p i = / p p i i s i t i t t i i 2 1 ( ) ( ) 6,179 8.84% 8,065 19.90% 0.8 26,869 38.44% 17,973 44.34% 1.5 30,625 43.81% 12,671 31.26% 2.4 5,403 7.73% 1,631 4.02% 3.3 825 1.18% 191 0.47% 4.3 69,901 100.00% 40,531 100.00% 1.7 2 ( ) ( ) 69,901 100.00% 40,531 100.00% 1.7 69,901 100.00% 40,531 100.00% 1.7 3 48
( ) ( ) 69,901 100.00% 40,531 100.00% 1.7 69,901 100.00% 40,531 100.00% 1.7 4 ( ) ( ) 10,897 15.59% 4,384 10.82% 2.5 31,711 45.37% 19,934 49.18% 1.6 26,412 37.78% 15,706 38.75% 1.7 881 1.26% 507 1.25% 1.7 69,901 100.00% 40,531 100.00% 1.7 5 ( ) ( ) 66,455.39 95.07% 38,841 95.83% 1.7 3,446.03 4.93% 1,690 4.17% 2 69,901 100.00% 40,531 100.00% 1.7 6 ( ) ( ) 1-2 5,701 8.16% 3,993 9.85% 1.4 1 77 0.11% 60 0.15% 1.3 2-3 64,123 91.73% 36,478 90.00% 1.8 69,901 100.00% 40,531 100.00% 1.7 7 ( ) ( ) 12 54,586 78.09% 26,736 65.96% 2.0 12 ( ) 24 ( ) 15,315 21.91% 13,795 34.04% 1.1 69,901 100.00% 40,531 100.00% 1.7 8 ( ) ( ) 12 16,040 22.95% 14,377 35.47% 2.0 12 ( ) 24 ( ) 53,861 77.05% 26,154 64.53% 1.1 49
69,901 100.00% 40,531 100.00% 1.7 9 ( ) ( ) ( ) 4,210 6.02% 4,966 12.25% 0.8 ( ) 65,691 93.98% 35,565 87.75% 1.8 69,901 100.00% 40,531 100.00% 1.7 10 ( ) ( ) 66,455.39 95.07% 38,841 95.83% 1.7 3,446.03 4.93% 1,690 4.17% 2 69,901 100.00% 40,531 100.00% 1.7 11 ( ) ( ) 11,371.19 16.27% 4,572 11.28% 2.5 3,446.03 4.93% 1,690 4.17% 2.0 7,902.90 11.31% 4,386 10.82% 1.8 14,035.11 20.08% 8,823 21.77% 1.6 2,161.70 3.09% 1,871 4.62% 1.2 30,984.49 44.33% 19,189 47.34% 1.6 69,901 100.00% 40,531 100.00% 1.7 12 ( ) ( ) 20-25 19,322.93 27.64% 10,919 26.94% 1.8 25-30 27,919.55 39.94% 16,420 40.51% 1.7 30-35 12,376.55 17.71% 7,263 17.92% 1.7 35-40 4,948.82 7.08% 2,905 7.17% 1.7 40-45 2,990.20 4.28% 1,682 4.15% 1.8 45-50 1,546.15 2.21% 903 2.23% 1.7 50-55 569.98 0.82% 315 0.78% 1.8 55-60 205.11 0.29% 110 0.27% 1.9 60-65 22.13 0.03% 14 0.03% 1.6 69,901 100.00% 40,531 100.00% 1.7 13 50
( ) ( ) 59,463 85.07% 35,169 86.77% 1.7 9,894 14.15% 5,096 12.57% 1.9 390 0.56% 188 0.46% 2.1 110 0.16% 54 0.13% 2.0 44 0.06% 24 0.06% 1.8 69,901 100.00% 40,531 100.00% 1.7 14 ( ) ( ) 294 0.42% 166 0.41% 1.8 / 4,280 6.12% 2,449 6.04% 1.7 / / 2,782 3.98% 1,627 4.01% 1.7 3,656 5.23% 1,956 4.83% 1.9 / / 2,969 4.25% 1,722 4.25% 1.7 / / 1,942 2.78% 1,048 2.59% 1.9 915 1.31% 526 1.30% 1.7 / / 10,913 15.61% 6,368 15.71% 1.7 1,883 2.70% 1,121 2.77% 1.7 / 2,507 3.59% 1,448 3.57% 1.7 / / 553 0.79% 306 0.75% 1.8 / 7,864 11.25% 4,402 10.86% 1.8 / 5,102 7.30% 2,849 7.03% 1.8 / / 2,436 3.48% 1,380 3.40% 1.8 / / 2,333 3.34% 1,335 3.29% 1.7 19,473 27.86% 11,828 29.18% 1.6 69,901 100.00% 40,531 100.00% 1.7 15 ( ) ( ) 436 0.62% 257 0.63% 1.7 51
10,459 14.96% 5,576 13.76% 1.9 995 1.42% 595 1.47% 1.7 20,466 29.28% 12,474 30.78% 1.6 1,020 1.46% 707 1.74% 1.4 22 0.03% 19 0.05% 1.1 7,544 10.79% 4,370 10.78% 1.7 39 0.06% 25 0.06% 1.6 407 0.58% 223 0.55% 1.8 521 0.75% 285 0.70% 1.8 1,303 1.86% 798 1.97% 1.6 18,500 26.47% 10,185 25.13% 1.8 1,530 2.19% 999 2.46% 1.5 1,419 2.03% 762 1.88% 1.9 3,849 5.51% 2,311 5.70% 1.7 1,391 1.99% 945 2.33% 1.5 69,901 100.00% 40,531 100.00% 1.7 52
16 ( ) ( ) 700( )-710 56 0.08% 29 0.07% 1.9 710( )-720 1,587 2.27% 995 2.45% 1.6 720( )-730 5,602 8.01% 3,554 8.77% 1.6 730( )-740 9,055 12.95% 5,502 13.57% 1.6 740( )-750 11,279 16.14% 6,598 16.28% 1.7 750( )-760 14,987 21.44% 8,654 21.35% 1.7 760( )-770 10,174 14.55% 5,811 14.34% 1.8 770( )-780 8,903 12.74% 5,016 12.38% 1.8 780( )-790 3,968 5.68% 2,220 5.48% 1.8 790( )-800 744 1.06% 414 1.02% 1.8-3,547 5.07% 1,738 4.29% 2.0 69,901 100.00% 40,531 100.00% 1.7 2015 11 1.5% 53
2016/2/26 412,607,724.31 48,453,562.60 286,406,422.61 2016/3/26 38,505,500.51 3,184,232.26 247,900,922.10 2016/4/26 35,875,261.69 2,784,678.38 212,025,660.42 2016/5/26 33,492,060.16 2,414,056.32 178,533,600.26 2016/6/26 29,633,229.12 2,063,939.93 148,900,371.13 2016/7/26 27,780,842.45 1,759,849.82 121,119,528.69 2016/8/26 25,717,436.07 1,466,627.76 95,402,092.62 2016/9/26 23,178,588.28 1,192,083.46 72,223,504.34 2016/10/26 20,029,159.03 937,359.29 52,194,345.31 2016/11/26 16,472,751.14 703,083.27 35,721,594.17 2016/12/26 13,063,474.61 501,963.46 22,658,119.57 2017/1/26 10,329,355.82 336,931.50 12,328,763.74 2017/2/26 6,967,372.53 193,339.96 5,361,391.21 2017/3/26 4,055,176.12 101,995.04 1,306,215.09 2017/4/26 1,306,215.09 31,001.18-54
[2006]5 2 55
56 1 9.5 9.6 1 2 3 4 5 6 7 9
1 2 57
A B 10 58
59 1 2 3 4 5 6 7 1 2 1
2 1 2 (1) (2) (3) 9 (4) 60
(5) 3 1 2 60 1 2 10.4 10 30 19 61
30 5 22 30 9.7 62
63 3 1 2 3 4 5 6 7 8 9
10 3.7 64
9 9.5 9.5 9.7 2 10:00 1 1 9:00 65
2 2 9 3 4 3 9.5.2 (1) 8.6.3 (1) 1 66
2 3 10% 4 A 5 B 6 3 7 8.6.2 8 9 (i)+ (ii)+ (iii)- (iv) (i) (ii) (iii) 9.5.2 (1) (iv) 10 11 2% 12 67
8 9 12 1 1 7 2 A A 3 B B 4 5 68
资产池本息流入 信托账户 合格投资收益 收入分账户 本金分账户 1 税收及规费 2 同顺序支付限额内参与机构服务报酬及费用 3 贷款服务机构 10% 报酬 4 优先 A 档资产支持证券利息 ( 同顺序按应受偿利息比例 ) 5 优先 B 档资产支持证券利息 6 贷款服务机构 90% 报酬 7 将相当于流动性储备金限额的资金记入流动性储备金账 8 如发生加速清偿事件, 余额全部转入本金账 9 本金账累计移转额和违约额补足 10 同顺序支付超过优先支出上限的费用支出 11 不超过 2% 年收益率支付次级档期间收益 12 余额转入本金分账户 1 收入账 1-7 项差额补足 2 支付优先 A 档资产支持证券的本金直至完毕 3 支付优先 B 档资产支持证券本金直至完毕 4 支付次级档资产支持证券本金直至清偿完毕 5 次级档资产支持证券剩余收益和贷款服务机构浮动报酬 8.6.3 (3) 1 69
2 3 A 4 A A 5 B 6 B B 7 8 违约触发 信托账户 本金分账户和收入分账户 1 税收及规费 2 参与机构服务报酬和垫付费用 3 优先 A 档证券利息 4 优先 A 档证券本金 5 优先 B 档证券利息 6 优先 B 档证券本金 7 次级档资产支持证券本金 8 次级档资产支持证券超额收益 70
A A B B 1 A B 2 699,014,146.92 1 A 1 A A 80.26% A 561,000,000.00 2 A 100 3 4 A A 5 2016 6 26 6 71
3 7 8 A 365 9 9 10 11 12 A AAA 2 B 1 B B 12.09% B 84,500,000.00 72
2 B 100 3 4 B B 5 2016 8 26 6 3 7 8 B 365 9 9 73
10 11 12 B AA 3 1 7.65% 53,514,146.92 2 3 2017 4 26 4 5 6 = 2% 365 7 9 74
8 9 10 7.65% 75
1 A B 2 3 1 2 3 4 76
110 7 5 1 1 2 2 3 1 2 77
1 1 2 1 1 2 2 78
5.1 1 24:00 2 24:00 10 5 79
2 24:00 24:00 80
5 1 2 24:00 (1) (2) 3 81
4 5 24:00 30 25 4.1.1 1 2 3 4 5 82
6 1 1 60 a b 10.4 2 1 10 19 2 3 83
9.7 4 1 5 22 230 84
/ / / 1 A 2 B 3 B B A 14.43% 85
86
A B 80.26% 12.09% 7.65% A AAA B AA A AAA B AA A B A B A B A B 0.11 0.47 A B 87
A B 0.11 0.47 0.5% 0.11 0.42 88
89
90
A B A B B A 91
92
1 2016 A AAA B AA A B 2 1 2 93
3 A B 3 1 a b c 14.43% d 94
e / A B 19.74% B 7.65% f g h 2 a 81.50% b c 1 2016 95
A B 19.74% B 7.65% A AAA B AA 2 1 2 96
B B AA B AA 3 1 a 40,531 5 0.007% 16 b 97
14.43% 2015 4 30 2015 11 30 7 5.84% c d / A B 19.74% B 7.65% e 2 a 98
b c 2015 2016 / 99
2016 / 2016 7 31 / 7 31 3 100
2016 1 2 [2012]127 [2007] 16 [2013] 21 [2014]1092 101
1 1 2 3 2 1 2 102
3 4 5 6 7 8 9 10 40,531 10 155 103
A. 1 18 2 3 4 65 5 B. 1 104
2 3 4 5 5 6 7 30 7 2017 3 31 8 2015 4 30 9 1,000 50,000 10 11 12 13 14, 105
15 16 17 18 19 C. 1 2016 106
[2005] 7 2005 3 [2008]23 [2005] 14 [2007] 16 107
108
109
1 2 110
/ 106 / 1 2 111
1 2 1 2 3 112
2 4 1 2 113
2 3 2006 8 27 114
1 2 3 4 1 115
2 3 4 5 1 2 3 116
4 5 117
118 1 www.chinamoney.com.cn www.chinabond.com.cn 2 3 4 5 5 4 30 6
119 7 31 7 3 1 2 a b c d 3 4 5 6 1 2
6 24 5 6 7 010-88306598 0851-6826079 550081 http://www. chinabond.com.cn http://www.chinamoney.com.cn 120
1 1 / / 2 / / 3 6 A A 7 B B 8 2 9 10 121
11 12 13 14 15 / 16 17 / 18 19 20 21 / 122
22 23 / 24 25 / 26 27 2016 28 29 2016 002-2 2016 30 2016 002-3 2016 31 2016 002-5 2016 123
32 2016 33 2016 002-4 2016 34 / 35 1 36 37 38 39 124
40 A. (a) 18 (b) (c) (d) 65 (e) B. (a) (b) (c) (d) (e) (f) 7 30 (g) 2017 3 31 (h) 2015 4 30 (i) 125
(j) 1,000 50,000 (k) (l) (m) (n), (o) (p) (q) (r) (s) C. (a) 41 126
42 43 / 44 11.4 2 45 2016 46 47 48 49 127
50 51 52 (a) (b) (c) (d) (e) (c) (f) 53 (a) (b) 128
(c) (d) 54 (a) 90 90 (b) a 55 56 57 24:00 (a) (b) (c) 129
130 58 5.1 59 5 24:00 60 A/B A B 61 62 00:00 63
131 64 AA 65 1 2
66 67 A B 10 3 68 69 A B 70 A A B 71 B B 132
72 A B 73 74 A B 75 A A 76 B B 77 4 78 79 80 81 133
82 9.5.1 83 8.6.2 84 17 00 85 86, 87 3 88 A B 89 A B 134
90 91 2015 4 30 92 93 94 (a) (b) 95 2016 1 31 96 (a) A+ 10 (b) A+ 135
/ 97 10 98 12 99 6 100 5 101 26 2016 2 26 102 /T 26 2016 2 26 103 A 2016 6 26 B 2016 8 26 2017 4 26 136
104 2019 2 28 105 3 6 9 12 20 106 107 (a) (b) (c) (d) (e) (f) 108 109 110/ 111 137
(a) (b) (c) (d) (i) 90 (ii) (iii) (e) 2.5% 3% (f) (c) 30 (g) 138
(h) (i) (a)(e) (f) (i) 112 (a) (b) 5 (c) 10 139
140 (d) (e) 2 30 3 90 (f) 1 2 30 3 90 (a) (c) d f 113
(a) (b) A (c) (d) A (e) 114 115 (a) (b) 5 (c) 15 (d) 141
(e) A (f) 116 (a) (b) (c) (d) (e) (f) 117 (a) (b) (c) (d) 118 (a) 142
3 (b) (c) (d) / / (e) 3 (f) (i) (ii) 15 (g) (h) 90 143
(i) 90 (i) (ii) (i) (ii) 10 119 (a) (b) 120 (c) (d) 144
145 (e) (f) (g) 120 121 (a) (b) (c) (d) (e) 122 123 124
125 19 126 127 (a) A-B-C A B C (b) A-B A B 128 129 130 146